Title: STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
Abstract: Abstract. We construct a general class of non‐linear models, called ‘state‐dependent models’, which have a very flexible non‐linear structure and which contain, as special cases, bilinear, threshold autoregressive, and exponential autoregressive models. We describe a sequential type of recursive algorithm for identifying state‐dependent models, and show how such models may be used for forecasting and for indicating specific types of non‐linear behaviour.
Publication Year: 1980
Publication Date: 1980-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 305
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